论文标题
基于签名的现实经济方案的验证
Signature-based validation of real-world economic scenarios
论文作者
论文摘要
在保险申请中，我们提出了一种新方法来验证现实世界经济方案。这种方法基于Chevyrev和Oberhauser（2022）开发的统计检验，并依赖于签名和最大平均距离的概念。该测试允许检查两个随机过程路径的样本是否来自同一分布。我们的贡献是将该测试应用于具有不同路径特性的各种随机过程（H {Ö} lder规律性，自相关性，政权开关），这些过程与股票价格和股票波动以及精算应用的通货膨胀相关。
Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to a variety of stochastic processes exhibiting different pathwise properties (H{ö}lder regularity, autocorrelation, regime switches) and which are relevant for the modelling of stock prices and stock volatility as well as of inflation in view of actuarial applications.
